Can you register your EU3 game(s) here please.
What version and checksum show in the main game screen?
Please run DXDIAG, Save All Info, and post dxdiag.txt here (first delete everything after the Sound Devices section so it will fit). Also post your Rome/settings.txt and Rome/logs/system.log files. Note that if you use Vista/Win7 and have installed the game in the suggested folder c:\Program Files\Paradox Interactive\Rome\, the active versions of these last two files will have been redirected by Vista/win7 to a non-system directory, like c:\Users\[name]\AppData\Local\VirtualStore\Program Files\Paradox Interactive\Europa Universalis - Rome\, where [name] is your Vista/Win7 user name. You may have to search your C: drive for them.
Please report the temperatures of your CPU and video 1/ before you start th egame and then 2/ after say 30 minutes' play. If you have no way of reading temps, Google for and install SPEEDFAN.